【作者】 崔红岩；

【导师】 荣喜民；

【作者基本信息】 天津大学 ， 运筹学与控制论， 2005， 硕士

【摘要】 投资组合理论是金融学中的重要研究课题之一,其目的是寻求一个在给定收益水平下使投资风险最小化,或者在给定的投资风险水平下使投资收益最大化的最优投资组合。VaR(Value-at-Risk)是近年来提出的新的风险度量方法,尤其其计算方法,已经引起众多研究学者们的注意,成为金融风险管理领域研究的前沿课题。本文首先介绍了投资组合理论的现状和风险管理与VaR的历史背景。随后在介绍经典的均值--方差模型的基础上,总结了近年来几种拓展模型;介绍了VaR的定义、性质、计算方法及其应用。在建立模型时,本文创新有以下几个方面:1.将单一期模型扩展到多期由于不同时期资产收益率以及投资者对风险和收益偏好的变化,加之资金等条件的限制,大多数组合投资问题具有明显的动态特征。本文把单期投资组合拓展到多期,建立了多期投资组合调整模型,并给出实证分析验证模型的有效性,这对投资者的连续投资行为具有一定的指导作用。2.加入VaR限制条件,研究了偏度下的带有交易费用的组合投资模型迄今为止,对于均值--方差模型,其研究的局限和不足很多,一般都是侧重或者只考虑交易费用、或者只考虑三阶矩,本文同时考虑了交易费用和三阶矩,并在期望收益中减去交易费用得到净收益作为一个约束条件;在投资者具有一定的风险承受能力的假设下,加入了VaR限制条件,提出了基于偏度的多期投资组合模型,讨论了解的矩阵形式。在最后,总结了本文的研究工作并对进一步的研究方向进行了展望。更多还原

【Abstract】 Portfolio theory is one of the important research content in Economics. It aims to attain the portfolios of the maximum of investment’s return with the given value of the risk of portfolio or of the minimum of investment’s risk with the given level of the investment’s return. VaR(Value- at-Risk),which are new risk measurement methods, are put forth recently and is given attentions by more and more researchers in particular, and becomes a latest research content in finance’s risk management.The updated development situation of portfolio and the background of VaR are introduced at first. The latest extension models are discussed on basis of the classic model in portfolio’s theories, which was the mean-variance model; on the foundation of the definition and characters of VaR, the computation methods and application are proposed. On constructing the model, the main innovations in the thesis are as follows.1. Extending the one-period portfolio model to multi-period. As the variation of the rate of the return and risk, in addition to the limitation of the money, the portfolio has exactly dynamic characteristics. So we construct the adjusting model of multi-period portfolio with transaction costs. And finally, a numerical example is displayed to test the model.2. Our model considers the factors of VaR limit, transaction costs and skewness simultaneously.Up to now, researches on avoiding the drawbacks of using MV model are limited on some sections of considering only transaction cost or only third moment. And the net expected return, which is one of the limit of the model, is the expected return subsided by the costs. Our model , which introduces VaR into the limits, considers the two factors above simultaneously under the assumption of investors` stated endurance,then the matrix form of the solution is discussed.Finally, we get together the paper and mentioned the directions of the further research.更多还原